SMCI Options History — October 2014

In October 2014, SMCI traded between $2.29 and $3.20. ATM implied volatility averaged 49.6%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 3.4% (HV 20d: 53.0%). Max pain ranged from $2.00 to $2.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.97.

Notable Days

  • 2014-10-22: Highest Volume — 14,860 contracts
  • 2014-10-06: Largest IV spike — 30.4% change
  • 2014-10-21: Highest IV Rank — 83.1%
  • 2014-10-21: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.71$2.29$3.20$2.86$3.20
Max Pain$2.21$2.00$2.25$2.25$2.25
ATM IV49.6%37.3%65.1%42.5%40.0%
Expected Move13.8%13.0%14.8%13.4%13.2%
HV 20d53.0%43.1%61.9%43.1%56.9%
HV 60d49.4%45.6%53.1%45.6%49.3%
IV Rank53.6%30.1%83.1%40.1%35.4%
IV Percentile84.0%42.9%99.2%76.6%58.3%
Term Structure-2.2%-12.5%26.9%7.8%4.1%
VWIV48.5%44.8%51.6%46.5%46.8%
Skew 25d4.1%-7.7%9.8%-7.7%0.7%
Skew 10d8.7%-8.4%34.1%1.8%-6.0%
Call IV 25d50.7%35.9%63.6%40.0%39.0%
Put IV 25d54.8%32.4%70.4%32.4%39.7%
Bid-Ask Spread %36.1018.8051.5835.1148.84
Gamma HHI0.510.310.770.620.74
Net GEX81.4K17.5K143.4K112.1K133.4K
Net DEX-3.6M-6.8M-565.9K-5.5M-6.8M
Net VEX-13.0K-15.4K-11.8K-14.3K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.003.130.192.62
Total Volume4,929.1340014,8601,2807,390
Total OI48,823.91334,44056,37046,99047,110

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$2.86$2.2542.5%13.4%43.1%40.1%46.5%-7.7%7.8%112.1K-5.5M-14.3K0.1935.111,08020033,22013,770
2014-10-02$2.74$2.2549.7%13.2%46.4%53.8%46.4%4.0%4.6%93.5K-4.6M-13.1K0.7931.182,3301,83033,91013,790
2014-10-03$2.72$2.2537.3%13.3%46.5%30.1%45.4%2.1%26.9%89.6K-4.6M-13.5K0.3031.0253016034,70014,760
2014-10-06$2.52$2.2548.6%13.7%52.2%51.6%48.3%1.5%-5.2%64.8K-2.9M-12.5K0.8323.483,4902,88034,45014,920
2014-10-07$2.46$2.2547.2%13.8%51.2%49.0%48.2%2.1%-5.9%50.7K-2.3M-12.8K0.9226.6536033035,06016,810
2014-10-08$2.42$2.2549.3%14.0%51.3%53.1%50.0%5.3%-5.8%50.0K-1.9M-12.2K0.8218.805,1104,20035,04017,140
2014-10-09$2.35$2.2552.1%14.3%51.1%58.3%49.5%2.4%-5.8%52.8K-1.4M-12.0K3.1324.607102,22035,82017,140
2014-10-10$2.29$2.2551.0%14.3%51.5%56.3%49.1%1.2%-8.0%52.1K-565.9K-12.0K1.3626.718801,20035,87019,220
2014-10-13$2.31$2.2556.0%14.7%51.7%65.7%49.3%7.7%-7.2%55.0K-826.4K-12.0K0.2326.651,39032036,23020,140
2014-10-14$2.37$2.2561.2%14.6%52.2%75.7%50.8%8.0%-9.9%38.5K-1.3M-12.7K0.5140.033,6501,86036,02020,350
2014-10-15$2.40$2.2552.5%14.2%47.2%59.1%51.6%8.1%-11.9%39.4K-1.4M-12.3K0.8440.143,0402,54036,06020,220
2014-10-16$2.40$2.2561.9%14.5%45.9%76.9%50.4%6.6%-8.1%41.9K-1.6M-11.8K0.8535.8361052035,54019,240
2014-10-17$2.50$2.2560.4%14.1%49.2%74.1%49.3%7.4%-9.3%17.5K-2.8M-12.2K0.2235.442,62057035,56019,040
2014-10-20$2.54$2.2560.6%14.4%49.8%74.6%51.0%4.5%-6.6%41.8K-1.7M-12.2K0.6334.642,7301,72022,63011,810
2014-10-21$2.63$2.2565.1%14.8%51.6%83.1%51.5%8.6%-12.5%46.4K-2.1M-12.5K0.9635.271,8301,75022,58012,510
2014-10-22$2.88$2.2545.8%13.3%59.8%46.3%48.0%-0.4%-1.7%88.6K-4.0M-12.7K0.6136.939,2305,63025,18012,560
2014-10-23$3.07$2.2545.2%13.4%61.9%45.2%48.9%9.8%-2.1%127.3K-5.7M-15.4K1.0337.855,3305,48030,59016,850
2014-10-24$3.06$2.2542.9%13.0%61.6%40.9%46.4%7.7%0.5%129.1K-5.6M-15.0K1.7239.753,2005,50030,35016,990
2014-10-27$3.07$2.0044.6%13.7%60.5%44.1%0.0%0.1%-0.7%135.8K-5.8M-14.2K0.0050.32400030,40017,120
2014-10-28$3.15$2.0043.5%13.5%61.1%42.0%46.9%6.2%0.0%136.1K-6.5M-13.7K0.1051.581,45014030,60017,120
2014-10-29$3.16$2.0041.9%13.2%59.9%39.0%44.8%1.4%3.7%143.4K-6.6M-13.5K1.2149.614,3405,23030,76016,790
2014-10-30$3.18$2.0041.9%13.4%57.2%38.9%47.3%6.3%1.7%132.3K-6.7M-13.2K2.4549.912,1405,25030,10016,880
2014-10-31$3.20$2.2540.0%13.2%56.9%35.4%46.8%0.7%4.1%133.4K-6.8M-13.0K2.6248.842,0405,35030,16016,950